/// <summary>
/// Тета опциона по формуле Блека-Шолза
/// </summary>
internal static void GetOptTheta(IEnumerable <IPosition> positions,
double f, double k, double dT, double sigma, double r, bool isCall,
out double theta)
{
theta = 0;
foreach (IPosition pos in positions)
{
//if (pos.EntrySignalName.StartsWith("CHT-RI-03.", StringComparison.InvariantCultureIgnoreCase))
//{
// string str = "";
//}
// Пока что State лучше не трогать
//if (pos.PositionState == PositionState.HaveError)
{
int sign = pos.IsLong ? 1 : -1;
double qty = Math.Abs(pos.Shares);
double optVega = FinMath.GetOptionTheta(f, k, dT, sigma, r, isCall);
theta += sign * optVega * qty;
}
}
}
internal static void GetOptGreek(IEnumerable <IPosition> positions,
double f, double k, double dT, double sigma, double ratePct, bool isCall,
Greeks greek, out double optGreek)
{
optGreek = 0;
foreach (IPosition pos in positions)
{
// Пока что State лучше не трогать
//if (pos.PositionState == PositionState.HaveError)
{
int sign = pos.IsLong ? 1 : -1;
double qty = Math.Abs(pos.Shares);
double tmp;
switch (greek)
{
case Greeks.Delta:
tmp = FinMath.GetOptionDelta(f, k, dT, sigma, ratePct, isCall);
break;
case Greeks.Theta:
tmp = FinMath.GetOptionTheta(f, k, dT, sigma, ratePct, isCall);
break;
case Greeks.Vega:
tmp = FinMath.GetOptionVega(f, k, dT, sigma, ratePct, isCall);
break;
case Greeks.Gamma:
tmp = FinMath.GetOptionGamma(f, k, dT, sigma, ratePct, isCall);
break;
default:
throw new NotImplementedException("Greek '" + greek + "' is not yet supported.");
}
optGreek += sign * tmp * qty;
}
}
}
